The present invention provides for a system and a method for optimised time series forecasting. A time-series dataset is converted corresponding to a system, for which forecast data is to be determined, into data embeddings in the form of a distance vector. A hierarchical clustering of values of the distance vector is performed, wherein the hierarchical clustering comprises creating a high-level cluster by combining two or more local clusters. A hierarchical tree is created based on the hierarchical clustering, wherein the hierarchical tree represents a first level cluster and a second level cluster. A plurality of factors is extracted from each node of the tree and a gaussian process decomposition is applied on the extracted factors from each node of the tree to determine decomposed factors. The decomposed factors represent interpretable components of the extracted factors and a forecast data is determined for system based on decomposed factors.